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Repo Rate Spillovers: Evidence from a Natural Experiment

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  • Robert Mann

Abstract

OFR study uses a Fed policy change to reveal how Treasury repo rate increases spillover to other collateral markets, reducing dealer borrowing by as much as 10% and impacting secondary market liquidity (Working Paper no. 25-05).

Suggested Citation

  • Robert Mann, 2025. "Repo Rate Spillovers: Evidence from a Natural Experiment," Working Papers 25-05, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:25-05
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    File URL: https://www.financialresearch.gov/working-papers/files/OFRwp25-05_repo-rate-spillovers.pdf
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    References listed on IDEAS

    as
    1. Craig, Ben R. & Dinger, Valeriya, 2013. "Deposit market competition, wholesale funding, and bank risk," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3605-3622.
    2. R. Jay Kahn & Luke M. Olson, 2021. "Who Participates in Cleared Repo?," Briefs 21-01, Office of Financial Research, US Department of the Treasury.
    Full references (including those not matched with items on IDEAS)

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